November 2019
Beginner
394 pages
10h 31m
English
Content preview from Learn Algorithmic Trading
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Sharpe ratio
Sharpe ratio is a very commonly used performance and risk metric that's used in the industry to measure and compare the performance of algorithmic trading strategies. Sharpe ratio is defined as the ratio of average PnL over a period of time and the PnL standard deviation over the same period. The benefit of the Sharpe ratio is that it captures the profitability of a trading strategy while also accounting for the risk by using the volatility of the returns. Let's have a look at the mathematical representation:
Here, we have the ...
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